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Testing Weak-Form Market Efficiency: The Case of Saudi Arabia

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  • H Khoj
  • H. Akeel

Abstract

The study intends to investigate if the stock market in Saudi Arabia follows the weak form of market efficiency using daily data from Tadawul All Share Index (TASI). The daily data was collected from January 2012 to January 2019. The study employed different of tests types such as: autocorrelation, unit root test, runs test, and variance decomposition test that are used to assess the daily data of the Saudi stock market. The results from autocorrelation, unit root test, runs test, and variance decomposition test indicate that the Saudi stock market does not follow the weak form of market efficiency. However, future studies are required to understand variations in the Saudi stock market prices. Additionally, the results recommend conducting further studies to test the semi-strong form of efficient market hypothesis in Saudi Arabia.Moreover, future studies also need to focus on the adoption of correction and regulations by the policymakers in the Saudi stock market.

Suggested Citation

  • H Khoj & H. Akeel, 2020. "Testing Weak-Form Market Efficiency: The Case of Saudi Arabia," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(6), pages 644-653.
    • Handle: RePEc:asi:aeafrj:v:10:y:2020:i:6:p:644-653:id:1949
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    Cited by:

    1. Wu, Ling & Hock Ow, Siew, 2021. "The Impact of News Sentiment on the Stock Market Fluctuation: The Case of Selected Energy Sector," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(3), pages 1-21.
    2. Daouda Lawa Tan Toe & Mamadou Toe & Tibi Didier Zoungrana, 2023. "Investigating the weak and semi-strong forms of Informational Efficiency on the West African Economic and Monetary Union’s Stock Exchange (BRVM) through returns predictability tests," SN Business & Economics, Springer, vol. 3(9), pages 1-27, September.

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